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Risk Premia in General Equilibrium
Posch, Olaf - 2010
This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for...
Persistent link: https://www.econbiz.de/10013139866
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On Identification of Bayesian DSGE Models
Koop, Gary - 2011
In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a...
Persistent link: https://www.econbiz.de/10013126000
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Generalized Taylor and Generalized Calvo Price and Wage-Setting : Micro Evidence with Macro Implications
Dixon, Huw David - 2013
found to help rationalizing the hump-shaped response of inflation, without resorting to the counterfactual assumption of …
Persistent link: https://www.econbiz.de/10013094533
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Computation of Business-Cycle Models with the Generalized Schur Method
Heer, Burkhard - 2009
We describe an algorithm that is able to compute the solution of a singular linear difference system under rational expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example
Persistent link: https://www.econbiz.de/10013153227
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Animal Spirits and Monetary Policy
De Grauwe, Paul - 2013
inflation. This model generates endogenous waves of optimism and pessimism (quot;Animal Spiritsquot;) that are generated by the … implications for monetary policies. One of our main results is that strict inflation targeting is suboptimal because it gives more … scope for waves of optimism and pessimism to emerge thereby destabilizing output and inflation …
Persistent link: https://www.econbiz.de/10012753435
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How Should Financial Intermediation Services Be Taxed?
Lockwood, Ben - 2010
This paper considers the optimal taxation of savings intermediation and payment services in a dynamic general equilibrium setting, when the government can also use consumption and income taxes. When payment services are used in strict proportion to final consumption, and the cost of...
Persistent link: https://www.econbiz.de/10013136605
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Beyond the DSGE Straitjacket
Pesaran, M. Hashem - 2011
, General Equilibrium (DSGE) models based on micro-foundations of optimising representative agents with rational expectations …
Persistent link: https://www.econbiz.de/10013125067
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Production Technologies in Stochastic Continuous Time Models
Wälde, Klaus - 2009
Properties of dynamic stochastic general equilibrium models can be revealed by either using numerical solutions or qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed-form solutions. Closed-form solutions are known for a...
Persistent link: https://www.econbiz.de/10013155278
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The Cross-Section of Firms Over the Business Cycle : New Facts and a DSGE Exploration
Bachmann, Rudi - 2009
Using a German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional...
Persistent link: https://www.econbiz.de/10013155672
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On the Modeling of the Income Distribution Business Cycle Dynamics
Heer, Burkhard - 2007
Empirically, the income share is procyclical for the low-income groups and acyclical for the top 5%. We find that business cycle models should consider overlapping generations and elastic labor supply in order to replicate this finding
Persistent link: https://www.econbiz.de/10012777297